SublimeREPL 1.0.18 should show up in Package Control in a few minutes. It fixes this issue both for Python REPL and Python - RUN. Problem was caused by the way SublimeREPL (and probably SublimeText2 build systems) was hiding console on windows.

For the interested: Up until now I was using dwFlags = STARTF_USESHOWWINDOW with wShowWindow = 0 which actually created the console but made it invisible. This cause VPython's window to be hidden as well. I switched to creationflags = 0x8000000 to not create a console window at all and this way I could leave wShowWindow = SW_SHOWNORMAL